Trend-Following Backtester · Guide · backtest 한국어

equity · FI

Harvia Oyj backtest

10 trend-following strategies were compared on the full daily history of Harvia Oyj. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 33.7%, MDD -26.8%).

Data 2018-03-22 ~ 2026-07-31daily bars 2,097 (8.4 years)Costs 0.5%Venue OMXHEXMonthly snapshot 2026-07-31

Results by strategy

5 of 10 beat buy and hold (CAGR 28.6%, drawdown -79.8%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 46.1%, MDD -34.2%, Sharpe 1.27, 80% exposure.

Return/drawdown alternative: Supertrend — CAGR is 17.5%p higher than buy and hold, while drawdown improves by 45.6%p (CAGR 33.7%, MDD -26.8%, exposure 55%).

The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.

Strategy · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=9, exitN=35
46.1%-34.2%1.271.3523.8x2380%
Supertrend
period=29, mult=3.1
33.7%-26.8%1.131.2611.3x4355%
SMA 크로스오버
fast=25, slow=181
34.9%-38.6%1.100.9012.2x1167%
ROC 모멘텀
n=140, threshold=-0.03
33.3%-43.7%1.060.7611.1x2570%
ADX / DI 방향성
period=38, threshold=24
18.8%-24.4%1.040.774.2x1220%
EMA 크로스오버
fast=65, slow=192
31.8%-51.0%1.030.6210.1x565%
볼린저 밴드 돌파
n=59, k=3.1
19.7%-31.8%1.030.624.5x1428%
Keltner 채널 돌파
emaPeriod=27, atrPeriod=25, mult=4
16.8%-19.9%0.980.843.7x1823%
Parabolic SAR
step=0.01, maxStep=0.16
24.0%-43.3%0.860.556.0x9554%
MACD
fast=23, slow=49, signal=16
13.0%-44.3%0.570.292.8x7950%
Buy and hold28.6%-79.8%0.830.368.2x1100%
1x 10x 2019 2020 2021 2022 2023 2024 2025 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -20% -40% -60% -80% 2019 2020 2021 2022 2023 2024 2025 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -34.2% (2021-08-10 → 2022-11-02), recovered after 548 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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